has.Ask

has.AskSize

has.Bid

has.BidSize

has.Price

has.Qty

has.Trade

is.BBO

is.TBBO

which

<p>A set of functions to check for appropriate TBBO/BBO and price column
names within a data object, as well as the availability and
position of those columns.</p>

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity.

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Maarten Schermer

has.Qty function

check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data — has.Qty

check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data

has.Qty: check for Trade, Bid, and Ask/Offer (BBO/TBBO), Quantity, and Price data

Description

Usage

Arguments